Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0278
Annualized Std Dev 0.2166
Annualized Sharpe (Rf=0%) -0.1281

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.3570
Quartile 1 -0.0050
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0059
Maximum 0.1699
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0136
Skewness -3.7259
Kurtosis 100.1793

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0089
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.7167
Historical VaR (95%) -0.0187
Historical ES (95%) -0.0326
Modified VaR (95%) -0.0058
Modified ES (95%) -0.0058
From Trough To Depth Length To Trough Recovery
2007-05-03 2020-03-23 NA -0.7167 3496 3245 NA
1999-01-07 2003-03-12 2006-04-05 -0.4996 1822 1049 773
2006-05-12 2006-06-13 2006-10-10 -0.1782 105 22 83
2006-12-14 2007-03-05 2007-05-01 -0.1148 93 53 40
2006-10-11 2006-10-17 2006-11-07 -0.0203 20 5 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 -1.7 1.3 0 0.5 0.9 1.4 1.3 -0.4 -0.4 0.9 0.5 3.7
2000 0.5 0 0.5 -0.5 1.4 1.7 0 0.8 -0.4 -0.9 0.9 2.2 6.3
2001 -1 -1 0.5 0.3 0 -0.1 0.9 0.2 -2.1 0.4 0.8 1.1 0
2002 -1.4 0.2 0 0.6 0.7 -0.4 0.2 1 3 -0.9 0.2 0.4 3.5
2003 -0.8 0.3 1.4 -0.8 0.5 -2.4 -1.6 0.8 1.2 -0.3 1.5 0.9 0.6
2004 -1.2 -0.2 1.2 0.2 -0.4 -0.5 0.6 0.3 0.2 0.3 1.4 0.5 2.4
2005 -0.3 0.7 0 0.7 0.9 -0.3 0.6 0.8 -0.1 -0.1 0.4 -0.2 3.2
2006 -0.3 0.7 0.1 0.3 -0.2 0 -0.9 0.3 -0.4 0.3 -0.5 0.2 -0.4
2007 0.8 -1.5 -0.1 0.1 -0.5 1.3 -1 1.8 0.9 -2.1 -0.1 1 0.6
2008 2.1 -0.9 2.4 -0.7 0.1 -0.9 0.1 0.4 0.2 -0.3 -5.3 2.7 -0.2
2009 -0.9 -3 0.8 1.6 1.1 1.6 0.6 -0.3 -1.2 0.1 0.8 0.2 1.3
2010 1.5 1.1 1.4 -0.9 -1.3 0.4 0.4 1.9 1 0.2 0.9 0.6 7.1
2011 1.3 -0.1 0.8 1.8 -0.5 -2.3 0.2 1.3 -2.2 -1.6 0.1 0 -1.2
2012 1.8 0.9 1 0.5 -1.5 1.9 0.4 0.5 1.2 1.8 0.7 0.4 10.1
2013 1.2 -0.4 -0.1 0.1 -1.9 0.6 0.5 -0.4 0.8 -0.3 0.3 -0.2 0.1
2014 -0.9 1.3 0 0.1 0.1 0.9 0.2 -0.1 -1.1 0.5 0.4 -0.3 1.1
2015 -1 0.4 1.5 1.4 0 -1.5 -0.1 -1.6 -1.2 0.3 0.2 -1.2 -2.7
2016 0.1 2.3 -0.9 -0.4 0.4 -0.2 -0.1 -0.4 -0.5 0.3 -0.8 0.6 0.4
2017 0.8 0.5 0.3 -0.5 0.5 0.3 0.4 0.2 1.1 0.2 -0.6 0.7 3.8
2018 0.3 -2 -0.7 0.2 1.7 0.7 -0.5 0 0 0.6 0 0.4 0.5
2019 0 0.3 0.4 0.3 -0.6 -0.1 0.9 -0.2 -0.5 -1.9 -0.1 0.2 -1.5
2020 -1.5 3.3 -1.2 -0.4 0.7 0.8 -1.7 -0.5 0.6 -0.5 1.2 -0.9 -0.3
2021 1.1 1.2 -0.9 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  17   SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  17.2 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.6 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart